基于交换期权的项目投资决策研究

Research on Investment Decision of Project with Switching Option

项目投资受到诸多不确定性因素的影响,传统的评价方法未考虑这些不确定性因素的价值,而实物期权法在项目投资中在考虑项目管理的灵活性后更能准确地估算项目价值,提高项目决策的准确性。文章采用实物期权理论,针对项目中资产价值波动性的特点,采用历史数据估算资产波动率,结合回归分析法,得出相互替代资产间波动率的函数关系,建立了二叉树三维立体交换期权评估模型。通过案例分析项目的交换期权价值,获得项目投资过程的管理柔性价值,为项目决策提供依据。

There are many uncertainties in investment of projects,traditional evaluation methods ignore the value of management flexibility in the application and often underestimate the true value of the project.Compared with the traditional evaluation methods,real option method can evaluate the project value more accurately and improve the investment decision-making.Through case studies,the paper evaluates the project using switching option,which obtains the management flexibility of the investment process,and provides the basis for decision-making.